Sparse Reduced-Rank Regression for Simultaneous Rank and Variable Selection via Manifold Optimization

arXiv:1910.05083 · stat.ML, cs.LG, stat.ME · Submitted 2019-10-11 · Read on arXiv

stat.ML, cs.LG, stat.ME

Submitted: 2019-10-11

Updated: 2019-11-01

Comments: 28 pages

DOI: 10.1007/s00180-022-01216-5

Code: https://github.com/yoshikawa-kohei/RVSManOpt

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Regularization — 16× in this paper · explained in 3 episodes
• Stiefel manifold — 12× in this paper · explained in 2 episodes
• Sparsity — 9× in this paper · explained in 4 episodes
• Accuracy — 2× in this paper · explained in 1 episode
• Core — 2× in this paper · explained in 2 episodes
• Riemannian optimization — 1× in this paper · explained in 2 episodes
• Trace — 1× in this paper · explained in 2 episodes

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